The impact of transaction duration, volume and direction on price dynamics and volatility

• المؤلفون الرئيسيون: TAY, Anthony S., TING, Christopher, TSE, Yiu Kuen, WARACHKA, Mitchell
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: Econometric theory; Applied econometrics; Econometrics of financial markets; Forecasting ability; Finance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1381; https://ink.library.smu.edu.sg/context/soe_research/article/2380/viewcontent/ImpactTransactionDurationVolumeDirection_QF_2011.pdf
• المؤسسة: Singapore Management University

We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important...